This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market. © 2010 The Authors Economic Notes © 2010 Banca Monte dei Paschi di Siena SpA.
Volatility and Volume Effects in European Electricity Spot Markets / Gianfreda, A.. - In: ECONOMIC NOTES. - ISSN 0391-5026. - 39:1-2(2010), pp. 47-63. [10.1111/j.1468-0300.2009.00220.x]
Volatility and Volume Effects in European Electricity Spot Markets
Gianfreda A.
2010
Abstract
This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market. © 2010 The Authors Economic Notes © 2010 Banca Monte dei Paschi di Siena SpA.
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